New Issue: BMO prices $259,000 contingent risk absolute return notes on S&P 500

By Wendy Van Sickle

Columbus, Ohio, May 31 – Bank of Montreal priced $259,000 of 0% contingent risk absolute return notes due May 31, 2022 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index finishes above the initial level, the payout at maturity will be par plus the index gain.

If the index falls but has never closes below its 75% barrier level during the life of the notes, the payout will be par plus the absolute value of the return, up to a maximum downside redemption amount of $1,250 per $1,000 principal amount.

Otherwise, investors will be fully exposed to any losses.

BMO Capital Markets Corp. is the agent.

Issuer:	Bank of Montreal
Issue:	Contingent risk absolute return notes
Underlying index:	S&P 500
Amount:	$259,000
Maturity:	May 31, 2022
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus any index gain; if index falls but never closes below 75% barrier, par plus absolute return, capped at 25%; otherwise, 1% loss per 1% decline
Initial level:	2,721.33
Barrier level:	2,041.00, 75% of initial level
Pricing date:	May 25
Settlement date:	May 31
Agent:	BMO Capital Markets Corp.
Fees:	1.6%
Cusip:	06367T5S5

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